# Shorting a token as large stakes end shows no detectable edge

> Across 1,132 large scheduled stake endings, a 24-hour hedged short after the end lost 4.6 bp net and one before it earned +6.9 bp; both intervals include zero and the largest endings did worst.

E821 · Verdict: KILL · Cause: No signal · Market: Crypto & DeFi · Mechanism: Calendar · Horizon: 24h · Tested: October 2026

Source: https://alphanotfound.eu/experiments/E821-stake-endings-unlocked-supply

On a proof-of-stake network with fixed stake end dates, the hour at which staked tokens return to their owners is public well in advance, and many traders expect some to be sold. We found 1,132 clusters in which at least 250,000 tokens were due back within one hour, and shorted the token's perpetual future for 24 hours, hedged with Bitcoin. After 10 bp of costs the short started 15 minutes after the end lost 4.6 bp on average (90% interval -20.9 to +11.7). Shorting the 24 hours before the end earned +6.9 bp, also indistinguishable from zero. The largest third of endings did worst, at -42.2 bp.

## Key numbers

- **Short after the end:** -4.6 bp (net per cluster, n 1,132; 90% interval -20.9 to +11.7 bp)
- **Short before the end:** +6.9 bp (net per cluster, n 1,131; 90% interval -9.6 to +23.0 bp)
- **Largest third vs smallest third:** -42.2 vs +7.6 bp (short after the end, by size of the ending relative to daily volume)
- **Placebo, same clock time a week earlier:** +29.5 bp (n 110 clusters with no event within 24 hours of the placebo time)

## The idea being tested

**Belief:** When a large amount of staked tokens reaches its scheduled end, the owners receive liquid tokens and some sell them, so the price falls around the end and a short earns a premium.

**Why people believe it:** A stake with a fixed term returns the principal and the reward at an end time that has been known since the stake began. People who staked only to earn the reward, or who wanted out, can sell at once, and the tokens arriving in an hour can be large relative to normal trading.

**Why it would persist:** The end times are public, but the amount ending in any given hour is lumpy, and derivatives market makers may not position for it in advance.

## How it was tested

We downloaded every completed validator stake on the network from 2022 to 2026 and summed, hour by hour, how many tokens were due back. An hour with at least 250,000 tokens ending counted as an event, and events within 24 hours of an earlier one were merged into the first. We then simulated a 24-hour short of the token's perpetual future, hedged with an equal-size long in Bitcoin so that general market moves cancel. The short started either just after the stakes ended or 24 hours before. A placebo repeated the same short at the same clock time one week earlier.

**Pre-registered:** yes

**Data:** Completed validator stakes on the network's primary chain: start, end, amount and other validator records (public indexer API of the network (anonymous); per stake; 50,701 completed stakes; 2022-01..2026-10); Perpetual futures 15-minute candles for the token and for Bitcoin (largest USD-margined crypto perpetual venue, public market-data archive; 15 minutes; 2022-01..2026-10)

**Universe:** One token and its USD-margined perpetual, with Bitcoin as the hedge leg. Validator stakes only; delegated stakes are missing.

**Signal:** Hourly buckets of ending stake (sum of tokens in stakes whose end falls in that hour). Event = bucket with at least 250,000 tokens ending; a bucket within 24 hours of the first bucket of an earlier cluster is merged into that cluster and its amounts added. Result: 1,132 clusters with a median of 2,667,250 tokens ending, which is 0.20 times the median daily perpetual volume (trailing 30-day median, lagged one day). Dose = tokens ending divided by that daily volume.

**Execution:** Main test (H1): short the perpetual at the open of the first 15-minute bar at or after the end of the hour bucket plus 15 minutes, close 24 hours later. Anticipation test (H2): short from 24 hours before the start of the ending hour to the start of the ending hour. Simple returns on notional. Hedge: long Bitcoin of equal notional (beta fixed at 1), so the trade return is minus (token return minus Bitcoin return).

**Costs:** 10 bp round trip. Funding is not modelled.

**Controls:** Placebo: the same trade at the same clock time 7 days earlier, kept only when no event lies within 24 hours of that time (110 of 1,132 clusters). Raw short without the Bitcoin hedge reported alongside.

**Sample split:** No train/test split; results by calendar year are descriptive. Second descriptive split by the share of the ending stake that was started again by the same node within 48 hours.

**Pass criterion:** H1 passes only if all hold: at least 30 clusters; hedged net mean above 0 with the lower end of a bootstrap 90% interval above 0; median hedged gross above 0; mean of the largest dose third above that of the smallest third; placebo mean below half the event mean. H2 uses the same gates. Two hypotheses, no further correction.

**Kill criterion:** Any gate fails.

**Power:** Standard error of the mean about 10 bp (90% interval half-width 16.3 bp for the main test); with the placebo at n 110 the placebo interval is wide (-24.7 to +81.2 bp).

## Result

**Why it was rejected:** The mean itself is negative (-4.6 bp). The main test fails three pre-registered gates: the 90% interval's lower end is -20.9 bp, the largest third (-42.2 bp) does worse than the smallest (+7.6 bp), and the placebo (+29.5 bp) is not below half the event mean. The anticipation test fails the interval and placebo gates.

**Observations:** 1,132

**Net mean:** -4.6 bp

**Median:** +11.7 bp

**Worst:** -2,636 bp

- Shorting 15 minutes after the end, hedged with Bitcoin, lost 4.6 bp net on average over 24 hours (n 1,132; 90% bootstrap interval -20.9 to +11.7 bp). Without the Bitcoin hedge the net mean was -9.1 bp.
- The median trade made +21.7 bp gross (+11.7 bp net) and 53.1% of trades were profitable net, but the worst single trade lost 2,636 bp net, which pulls the mean below zero: the typical trade is not the average, and the worst trade outweighs the typical gain. The median and the win rate are not pass criteria.
- Anticipation: shorting from 24 hours before the end to the end earned +6.9 bp net (n 1,131; 90% interval -9.6 to +23.0 bp), with the interval's lower end below zero.
- By dose, the short after the end earned +7.6, +19.4 and -42.2 bp in the smallest, middle and largest thirds (about 375 clusters each); the pre-registered rule needed the largest third to beat the smallest. For the anticipation short the thirds were +2.4, -0.9 and +18.2 bp: non-monotonic and within noise (standard error about 17 bp each). One incidental gate pass across ten gates is not evidence.
- The placebo, the same short at the same clock time one week earlier, earned +29.5 bp (n 110; 90% interval -24.7 to +81.2 bp), more than either event test.
- By year the short after the end earned +16.0 bp (2022, n 199), -48.6 (2023, n 166), +1.7 (2024, n 243), +1.5 (2025, n 268) and -4.5 bp (2026, n 256); only the 2023 interval lies entirely below zero.
- Re-staking: the median ending cluster had 82% of its tokens staked again by the same node within 48 hours. The half of clusters with a lower re-stake share lost 5.2 bp and the other half lost 4.0 bp (566 clusters each).

### No edge before or after the end (bp)

Mean 24-hour net return of the Bitcoin-hedged short with its 90% bootstrap interval. Both event tests straddle zero; the placebo sits higher than either, with a very wide interval because only 110 placebo times were free of events.

|   | Mean | 95% low | 95% high |
| --- | --- | --- | --- |
| Short after the end (n 1,132) | -4.6 | -20.9 | 11.7 |
| Short before the end (n 1,131) | 6.9 | -9.6 | 23.0 |
| Placebo: same time, 7 days earlier (n 110) | 29.5 | -24.7 | 81.2 |

### No positive dose response (bp)

Net return of the short after the end, by size of the ending relative to daily perpetual volume (thirds of 375 clusters). The largest third is lower than the others, but within noise; the 2023 result alone is -48.6 bp.

|   | Short after the end |
| --- | --- |
| Smallest third (up to 0.12 of daily volume) | 7.6 |
| Middle third (0.12-0.33) | 19.4 |
| Largest third (above 0.33) | -42.2 |

### No stable sign across years (bp)

Mean net return of the short after the end by calendar year with 90% bootstrap intervals. The sign changes from year to year and every interval except 2023 includes zero.

|   | Mean | 95% low | 95% high |
| --- | --- | --- | --- |
| 2022 (n 199) | 16.0 | -28.2 | 60.5 |
| 2023 (n 166) | -48.6 | -98.9 | -0.5 |
| 2024 (n 243) | 1.7 | -35.2 | 37.6 |
| 2025 (n 268) | 1.5 | -32.3 | 35.5 |
| 2026 (n 256) | -4.5 | -27.7 | 18.3 |

## Interpretation

**Why it failed (interpretation, not established):** The event study found no detectable selling pressure in price at this power (standard error about 10 bp, validator stakes only). Most large endings are stakes that the same nodes start again (median 82%), and the clusters with less re-staking show the same result. The largest third of endings is lower than the others, but within noise. One possible reading is that holders of an already owned, already hedgeable token have no deadline to sell.

**Lesson:** A known date on which a token becomes liquid is not the same as a date on which it must be sold. Supply events move prices only when the recipient faces a deadline or a cost of holding; when the holder can wait, the timing of the unlock says little about the timing of the sale. A related test of scheduled token unlocks (E390) likewise found no detectable drift.

**Scope:** Covers validator stakes on one network from January 2022 to October 2026, endings of at least 250,000 tokens per hour, a 24-hour hold with a Bitcoin hedge and 10 bp round-trip costs, on hourly buckets and 15-minute prices. Delegated stakes are not included, so endings by delegators are not tested.

## Reproducibility

**Steps:** 1) Page through the network's public indexer for completed validator stakes (primary chain only) and keep start, end, amount and the other validator records. 2) Sum the tokens ending per hour; keep hours with at least 250,000 tokens; merge events within 24 hours of the first event of a cluster. 3) Divide by the trailing 30-day median daily perpetual base volume, lagged one day, to get the dose. 4) Short the token's perpetual at the open of the first 15-minute bar at or after the end of the hour plus 15 minutes, close 24 hours later, add a long of equal notional in Bitcoin, subtract 10 bp. 5) Repeat from 24 hours before the start of the ending hour to the start of the hour, and at the same clock time 7 days earlier when no event lies within 24 hours. 6) Bootstrap the mean (5,000 resamples, 90% interval) and apply the five gates.

**Grade:** COMPLETE

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AI-generated research, checked but not peer-reviewed. Historical, experimental research, not investment advice. Dataset Terms of Use: https://alphanotfound.eu/terms